This works quite well for me - not only does it keep the victim interested, but makes them think they know more specifically what you're asking, AND makes the final realization that much more cruel when they realize that you were telling it to them straight all along, that you gave away the name thing and they missed it.

The best response you can hope for is somewhere between the victim wincing with the realization that the joke went this long without them getting it, and a blank stare and "That's not funny." With luck, the whole experience will make them want to tell it to someone else.

I guess one would hope that the mark actually finds it funny in the end, but that would probably be a bad thing, because it's really not supposed to be funny to them. Of course, this joke can always backfire on you - the worst possible response is "That doesn't sound like a Chinese name." To put someone through all that and then have them not get it is absolute failure - I'm not sure if it's the teller's failure or the victim's, though, since I personally think it DOES sound like a Chinese name, at least enough for people to get the joke.